Index Update 20.06.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-06-19 png

index momentum best 50 2015-06-19 png

index momentum worst 365 2015-06-19 png

index momentum worst 50 2015-06-19 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-19 png

Refactored Index Performance

50-day performance, from April 09, 2015 through June 19, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +7.13% CNX ENERGY (CAP) +2.16%
CNX MNC (EQUAL) +4.50% CNX MNC (CAP) +0.78%
CNX MEDIA (EQUAL) -1.96% CPSE INDEX (CAP) -0.72%
CPSE INDEX (EQUAL) -2.20% CNX COMMODITIES (CAP) -1.77%
CNX FMCG (EQUAL) -4.01% CNX PSE (CAP) -2.74%
CNX CONSUMPTION (EQUAL) -4.22% NV20 (CAP) -3.26%
CNX PSE (EQUAL) -4.46% CNX CONSUMPTION (CAP) -4.18%
NV20 (EQUAL) -4.52% CNX MEDIA (CAP) -4.37%
CNX ENERGY (EQUAL) -5.32% CNX INFRA (CAP) -4.53%
CNX AUTO (EQUAL) -6.21% CNX BANK (CAP) -5.27%
NSE QUALITY 30 (EQUAL) -7.12% CNX FINANCE (CAP) -5.59%
CNX COMMODITIES (EQUAL) -7.33% CNX SERVICE (CAP) -6.43%
CNX FINANCE (EQUAL) -8.10% CNX AUTO (CAP) -6.43%
CNX BANK (EQUAL) -8.65% CNX PHARMA (CAP) -7.77%
NI15 (EQUAL) -8.71% CNX FMCG (CAP) -8.29%
CNX SERVICE (EQUAL) -8.86% CNX IT (CAP) -8.53%
CNX INFRA (EQUAL) -10.17% NI15 (CAP) -9.17%
CNX IT (EQUAL) -10.37% NSE QUALITY 30 (CAP) -9.30%
LIX 15 (EQUAL) -11.35% CNX METAL (CAP) -9.70%
CNX PSU BANK (EQUAL) -14.33% CNX PSU BANK (CAP) -10.74%
CNX METAL (EQUAL) -14.68% LIX 15 (CAP) -10.80%
LIX15 Midcap (EQUAL) -18.72% LIX15 Midcap (CAP) -17.52%
CNX REALTY (EQUAL) -22.22% CNX REALTY (CAP) -25.02%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
8.73
2015-Jan-27
CNX BANK SHORT
13.01
2015-Jan-27
CNX ENERGY LONG
26.08
2008-Jan-14
CNX FMCG SHORT
13.23
2015-Feb-25
CNX INFRA SHORT
48.68
2008-Jan-09
CNX IT SHORT
88.23
2000-Feb-21
CNX MEDIA LONG
26.66
2008-Jan-04
CNX METAL SHORT
58.84
2008-Jan-04
CNX MNC SHORT
5.41
2015-Mar-12
CNX NIFTY SHORT
8.57
2015-Mar-03
CNX PHARMA SHORT
14.61
2015-Apr-08
CNX PSE SHORT
25.47
2008-Jan-04
CNX REALTY SHORT
90.75
2008-Jan-14
Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…